Renewed interest in heat stress effects on livestock productivity derives from climate change, which is expected to increase temperatures and the frequency of extreme weather events. This study aimed at evaluating the effect of temperature and humidity on milk production in highly selected dairy cattle populations across 3 European regions differing in climate and production systems to detect differences and similarities that can be used to optimize heat stress (HS) effect modeling. Milk, fat, and protein test day data from official milk recording for 1999 to 2010 in 4 Holstein populations located in the Walloon Region of Belgium (BEL), Luxembourg (LUX), Slovenia (SLO), and southern Spain (SPA) were merged with temperature and humidity data provided by the state meteorological agencies. After merging, the number of test day records/cows per trait ranged from 686,726/49,655 in SLO to 1,982,047/136,746 in BEL. Values for the daily average and maximum temperature-humidity index (THIavg and THImax) ranges for THIavg/THImax were largest in SLO (22-74/28-84) and shortest in SPA (39-76/46-83). Change point techniques were used to determine comfort thresholds, which differed across traits and climatic regions. Milk yield showed an inverted U-shaped pattern of response across the THI scale with a HS threshold around 73 THImax units. For fat and protein, thresholds were lower than for milk yield and were shifted around 6 THI units toward larger values in SPA compared with the other countries. Fat showed lower HS thresholds than protein traits in all countries. The traditional broken line model was compared with quadratic and cubic fits of the pattern of response in production to increasing heat loads. A cubic polynomial model allowing for individual variation in patterns of response and THIavg as heat load measure showed the best statistical features. Higher/lower producing animals showed less/more persistent production (quantity and quality) across the THI scale. The estimated correlations between comfort and THIavg values of 70 (which represents the upper end of the THIavg scale in BEL-LUX) were lower for BEL-LUX (0.70-0.80) than for SPA (0.83-0.85). Overall, animals producing in the more temperate climates and semi-extensive grazing systems of BEL and LUX showed HS at lower heat loads and more re-ranking across the THI scale than animals producing in the warmer climate and intensive indoor system of SPA.